What file formats preserve sharp edges?
Have you tried the last Blender version ? I've seen that it now supports sharp edges with vertex normals, so no more edge splitting needed. That should theoretically works as Max is using something similar (You might have to use FBX export thought).
If that doesn't work you can still collapse the edge split modifier prior to export, it will break your sharp edges in two. It's less practical but gives the same visual result.

If you're doing models for realtime keep in mind that sharp edges splits the uv islands in most game engine, which can very slightly reduce performance (sometime support edges are a better option). Cheers !